VOX Options History — May 2015

In May 2015, VOX traded between $86.78 and $89.67. ATM implied volatility averaged 21.1%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 7.0% (HV 20d: 14.1%). Max pain ranged from $84.00 to $88.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.17.

Notable Days

  • 2015-05-15: Highest Volume — 205 contracts
  • 2015-05-07: Largest IV spike — 247.1% change
  • 2015-05-07: Highest IV Rank — 100.0%
  • 2015-05-01: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.05$86.78$89.67$89.63$88.10
Max Pain$87.76$84.00$88.00$88.00$88.00
ATM IV21.1%11.6%68.6%25.0%13.0%
Expected Move4.3%3.3%7.2%7.2%3.7%
HV 20d14.1%11.6%15.4%13.1%11.6%
HV 60d13.7%13.0%14.1%13.1%14.0%
IV Rank28.3%5.8%100.0%46.8%8.1%
IV Percentile52.6%15.1%100.0%90.1%45.2%
Term Structure-0.6%-5.4%2.1%-0.4%0.2%
VWIV14.2%11.6%24.8%18.7%12.0%
Skew 25d2.3%-10.3%10.0%1.4%3.0%
Skew 10d6.3%-22.6%21.4%-22.6%6.1%
Call IV 25d17.4%11.0%38.0%38.0%11.4%
Put IV 25d19.7%13.1%39.4%39.4%14.5%
Bid-Ask Spread %98.6258.86171.90157.0271.22
Gamma HHI0.210.140.330.190.18
Net GEX4.5K-13.5K32.1K3.2K-6.5K
Net DEX298.4K81.6K414.6K258.3K306.2K
Net VEX-3.7K-4.8K-3.2K-3.8K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.295.600.881.33
Total Volume139.20205169184
Total OI304.2242331271331

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$89.63$88.0025.0%7.2%13.1%46.8%18.7%1.4%-0.4%3.2K258.3K-3.8K0.88157.02N/AN/A9079143128
2015-05-04$89.67$0.0037.7%5.5%13.1%81.8%0.0%10.0%-4.0%-56981.6K-4.7K0.00171.90N/AN/A00143127
2015-05-05$88.38$0.0039.2%6.5%14.0%85.9%0.0%8.4%-3.5%1.9K101.6K-4.8K0.87142.79N/AN/A9179143128
2015-05-06$87.12$0.0014.3%4.9%14.8%17.0%22.0%0.3%-2.7%3.6K377.0K-3.5K0.79136.92N/AN/A11288153128
2015-05-07$86.78$88.0049.6%4.3%14.9%100.0%24.8%-10.3%-4.2%13.4K307.1K-3.7K0.79155.80N/AN/A11288174138
2015-05-08$87.64$88.0025.6%4.9%15.3%42.1%0.0%1.2%2.1%12.8K267.4K-3.7K0.00152.91N/AN/A00174137
2015-05-11$87.31$88.0068.6%6.3%15.4%100.0%0.0%-0.8%-5.4%16.8K231.9K-4.1K0.00169.53N/AN/A00174137
2015-05-12$87.60$88.0012.3%3.6%15.4%6.9%12.7%2.9%0.5%8.3K414.6K-3.2K0.7758.86N/AN/A11588174138
2015-05-13$87.42$88.0013.2%3.8%15.2%8.4%12.8%2.8%0.4%2.8K381.7K-3.6K0.7766.99N/AN/A11588178138
2015-05-14$87.85$88.0012.5%3.6%15.3%7.3%12.5%2.6%0.6%12.9K355.8K-3.2K0.7767.39N/AN/A11588178138
2015-05-15$88.20$88.0011.8%3.4%14.5%6.1%11.6%2.3%0.9%32.1K231.2K-3.2K0.7572.54N/AN/A11788178138
2015-05-18$88.71$88.0011.6%3.3%13.8%5.8%13.5%2.1%1.0%14.5K243.0K-3.3K0.2964.88N/AN/A72134108
2015-05-19$87.58$84.0013.1%3.8%14.5%8.2%14.5%2.6%0.3%18.0K264.8K-3.5K5.6071.59N/AN/A1056141110
2015-05-20$88.18$88.0012.2%3.5%14.6%6.8%12.1%2.5%0.6%-6.0K359.1K-3.6K1.0573.78N/AN/A7983151167
2015-05-21$88.55$88.0012.2%3.5%13.6%6.7%12.3%3.1%0.5%-2.8K316.0K-3.8K1.0564.12N/AN/A7983154177
2015-05-22$87.85$88.0012.7%3.6%13.8%7.5%12.6%3.0%0.5%-9.3K413.1K-3.5K1.0568.61N/AN/A7983154177
2015-05-26$87.75$88.0012.3%3.5%13.6%7.0%11.9%3.0%0.6%-13.5K365.9K-3.8K1.0571.80N/AN/A7983154177
2015-05-27$88.51$88.0011.9%3.4%12.9%6.3%11.7%3.0%-0.0%-3.7K327.1K-3.5K1.0571.59N/AN/A7983154177
2015-05-28$88.12$88.0012.9%3.7%13.0%7.9%11.8%2.4%0.3%-7.2K365.1K-3.4K1.0562.19N/AN/A7983154177
2015-05-29$88.10$88.0013.0%3.7%11.6%8.1%12.0%3.0%0.2%-6.5K306.2K-3.7K1.3371.22N/AN/A79105154177